As the total value of the global financial market outgrew the value of the real economy,
financial institutions created a global web of interactions that embodies systemic risks …

We introduce a general model for the balance‐sheet consistent valuation of interbank claims
within an interconnected financial system. Our model represents an extension of clearing …

The COVID-19 pandemic has caused a different and more severe version of the contagion
phenomenon. In this study, we examine the impact of the COVID-19 pandemic on six …

We consider the problem of systemic risk assessment in interbank networks in which
interbank liabilities can have multiple maturities. In particular, we allow for both short-term …

We propose a dynamic mean-field model for 'systemic risk'in large financial systems, derived
from a system of interacting diffusions on the positive half-line with an absorbing boundary at …

We develop a dynamic model to study the systemic risk of the banking network, so as to
study the dynamics of bank defaults. In contrast to the existing literature, we show that while …

In this work we provide a simple setting that connects the structural modeling approach of
Gai--Kapadia interbank networks with the mean-field approach to default contagion. To …

We quantify the sensitivity of the Eisenberg--Noe clearing vector to estimation errors in the
bilateral liabilities of a financial system. The interbank liabilities matrix is a crucial input to the …

We study the problem of financial assistance (bailouts, stimulus payments, or subsidy
allocations) in a network where individuals experience income shocks. These questions are …

We construct a balance sheet network model to study the interconnectedness of a banking
system. A simulation analysis of the buffer effect of contingent convertible (CoCo) debt in …